Vorträge im Sommersemester 2013

The Effect of Different Market Opening Structures on Market Quality
Stefan Palan, Gernot Hinterleitner, Ulrike Leopold-Wildburger, Roland Mestel

This paper deals with the market structure at the opening of the trading day and its influence on subsequent trading. We compare a single continuous double auction and two complement markets with different call auction designs as opening mechanisms in a unified experimental framework. The call auctions differ with respect to their levels of transparency. We find that a call auction not only improves market efficiency and liquidity at the beginning of the trading day when compared to the stand-alone continuous double auction, but also causes positive spillover effects on subsequent trading. Concerning the design of the opening call auction, we find no significant differences between the transparent and nontransparent specification with respect to opening prices and liquidity. In the course of subsequent continuous trading, how-ever, market quality is slightly higher after a nontransparent call auction.

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models

This paper thoroughly investigates the price dynamics of carbon spot and futures returns for the first commitment period ranging from 2008 to 2012 with the aim to develop an adequate spot-returns-model. We apply a broad spectrum of various GARCH models including different distributions for model innovations. Both time series, spot and futures returns, exhibit asymmetric behavior in their variance, thus, additionally Markov regime switching models for the variance equation of carbon returns are under consideration. Empirical results prove AGARCH, NARCH and GJR to fit the data best, further we show that fat tailed distributions - in particular a generalized error distribution - in the error term of any model significantly improves the fit. Finally, as futures returns seem to carry informational content concerning subsequent spot returns, we propose a sound, yet parsimonious spot-returns-model, well suited for capturing the dynamics of the carbon spot market.

Interest rate spreads in the Euro area: fundamentals or sentiments?

We analyze the determinants of interest rates on long-term government bonds within the Eurozone to assess whether the recent divergence in interest rates is attributable to changes in common economic fundamentals. First, we show that the panel approach, mostly employed by existing literature on this issue, has conceptual as well as empirical problems. Therefore we harness an event study approach using high-frequency (daily) data to investigate the impact of three categories of events on EMU government bond yields. Our results indicate that yields react to forecasts on key economic indicators such as growth and future budget deficits. In contrast, we do not find evidence that investors react to announcement of fiscal "bailouts" or austerity measures.

Do Managers disclose more Information about Tax Loss Carryforward when future profits are uncertain?

The value of tax loss carryforwards is difficult to assess for an investor since it strongly depends on if and when they can be offset against taxable income. We examine whether companies voluntarily disclose additional information about tax loss carryforwards when their recoverability is more uncertain. To investigate whether companies consider such uncertainty in their disclosure policy, we employ a pooled cross-section regression analysis, controlling for other factors that might influence disclosure. We develop a disclosure index and distinguish between mandatory disclosure under IAS 12 and voluntary disclosure. Our empirical analysis is based on a sample of German hand collected data from notes of IFRS financial statements. We find that companies that are exhibited to greater ex ante uncertainty voluntarily disclose more and more useful information regarding the future usability of tax loss carryforwards. These findings are robust for several indicators representing information and income uncertainty. Our findings suggest that managers anticipate the investors’ need for more private information and thus disclose them voluntarily to send a signal of credibility to the market participants. It can be assumed that disclosing this information is less costly than facing potential risk premiums demanded by investors leading to higher cost of capital.

Efficiency and technology and their impact on hospital performance – Evidence from Austrian hospitals

Endeavours to assess hospital efficiency and technology differences have grown rather than diminished during recent decades, mainly as a result of tight budgets and ever-increasing hospital costs, a situation which also prevails in Austria. The aim of the present paper is to investigate the efficiency of the overall population of Austrian publicly-financed acute care hospitals, thereby concentrating on technology differences between the standard and the extended care level and on productivity changes over time. In so doing, we use an input-oriented and a non-oriented super-efficiency model to reflect politically desired outcomes and actual reality.

From a health policy perspective, hospitals are assumed only to control inputs, but in practice outputs are also very much influenced by hospitals. The results reveal, among others, a lead in the best-practice technology of large extended care hospitals compared to standard care hospitals, insufficient productivity increases at both care levels if hospital strategy is limited to input minimization, and inefficient provision of highly complex services if provided at the standard care level, a result which is assumed to be size-related and equipment-related.

Work-Life-Balance und Karriereperspektiven an der Karl-Franzens-Universität Graz

In dem Vortrag werden Ergebnisse einer Befragung des wissenschaftlichen Personals der Karl-Franzens-Universität Graz zum Thema „Work-Life-Balance und Karriereperspektiven” präsentiert. Es zeigt sich, dass insbesondere der Unterstützung und Inklusion von MitarbeiterInnen sowie der Freude an der Wissenschaft eine große Bedeutung für eine gute Work-Life-Balance zukommt. Darüber hinaus gibt es sowohl geschlechter- als auch statusgruppenbezogene Unterschiede. Implikationen ergeben sich insbesondere für die Bereiche „Führung und Zusammenarbeit”, Arbeitsgestaltung und Nachwuchsförderung.

Joint optimization of new production, warranty servicing strategy and secondary market supply under consumer returns

In this paper, we consider an OEM selling new products to the market offering (i) a warranty period during which defective units are dealt with at no cost for the customer, and (ii) a full refund to costumers who return products that do not meet their expectations (consumer returns). The manufacturer has different options for satisfying the warranty cases as well as for utilizing the consumer returns. Warranty cases could be dealt with by repairing the defective units, replacing them with new products, or replacing them with refurbished consumer returns. Alternatively leftover new products or consumer returns can also be sold on a secondary market. We develop a model and derive the OEMs optimal decisions with respect to these options under demand uncertainty on the primary market.

A Segment-Based Analysis of Firms' Decision to Manage Earnings to Influence Existing and Potential Competition

Recent research on the effects of product market competition on earnings management has found conflicting evidence. We contribute to this literature by disentangling the effects of existing competition and the threat of market entry by a potential competitor. Since product market competition as well as efforts to influence it are more likely to play out at the segment level than at the corporate level, we use segment data both for our competition measures as well as for our earnings management metric. We find that potential competition but not existing competition is significantly negatively associated with discretionary unallocated costs, our measure of earnings management at the segment level. Furthermore, we find no significant association between earnings management and either potential or existing competition at the firm level. Our results suggest that firms do take product market competition considerations into account when making financial reporting decisions but these effects are not easily detected by research looking solely at the corporate level.

Barriers to Responsible Investment: A Behavioral Economics Perspective

Sustainable and Responsible Investment (SRI) combines investors’ financial objectives with their concerns about social, environmental, ethical or corporate governance issues. While most investors sympathize with SRI when being asked, only a small fraction of them actually put it into practice. Standard models of rational choice do not account for gaps between intentions and behaviors and thus have difficulties to explain what keeps investors from SRI. Applying a behavioral economics approach, in particular nudge theory, promises new insights in two aspects: First, cognitive biases and choice architecture can be identified as potential barriers to responsible investment. Second, economic policies can be designed, which nudge investors toward SRI without compromising their freedom of choice.

Einfluss von Kompensation und Monitoring auf Risiko und Ergebnismanagement bei Banken

Als Reaktion auf die weltweite Finanzkrise wurde nach Ursachen für die systemischen Fehlentwicklungen gesucht und Maßnahmen getroffen, um zukünftige Schäden zu vermeiden. Dabei wurde vor allem im Bankbereich der – in der öffentlichen Meinung häufig als unangemessen angesehenen – Vergütungspolitik und der Rolle des internen Monitoring, wie zB die Überwachung der Risiken durch die Verwaltungs- und Aufsichtsräte, große Beachtung geschenkt. Einerseits wird vielfach argumentiert, dass die Vergütungspolitik hohe Risiken und auch höheres Ergebnismanagement induziert und andererseits, dass die Rolle der Monitoring-Instrumente in diesem Bereich versagen.  In der vorliegenden Arbeit wird in einer empirischen Studie der Einfluss von Kompensationslevel und -struktur sowie von Monitoring-Mechanismen auf Risiko, gemessen über den Z-Score, und diskretionäre Zuführungen zur Kreditvorsorge, als Ergebnismanagement-Proxy, dargestellt. Dabei wird auf ein internationales Bank-Sample mit erstmalig zur Verfügung stehenden Corporate-Governance-Variablen zu Vergütung und Monitoring zurückgegriffen.